Jim Cramer: How to play Twitter's all-time low

With Twitter's market value at around $18 billion, the insider selling that drove down the social media stock "shocked" CNBC's Jim Cramer, he said.

The rampant insider selling at Twitter—especially after its leaders and founders told investors they wouldn't sell their shares—"shocked" CNBC's Jim Cramer, he said on Thursday.

Twitter dropped nearly 18 percent on Tuesday after its stock lockup period expired, which allowed company insiders to sell shares of the social media service, sending prices to an all-time low. The stock continued a slight decline on Wednesday before gaining ground when trading opened Thursday morning.

"What I found from Twitter, was that there were people who really felt when [CEO Dick Costolo] said we're not selling, they thought ... everyone else who sells is going to be embarrassed," Cramer said on "Squawk on the Street." "But Costolo is not in charge of these divisions that trade away from him."

Still, investors need to remember that Twitter's current share prices at around $31 remain far off its all-time highs at $74, Cramer said,

"The short trade is done," he said. "I don't want to short this thing."

Morgan Stanley upgraded Twitter to an equal-weight rating on Thursday morning, telling investors that the social media company should meet Wall Street's expectations for the next few quarters. Morgan Stanley also advised investors to expect insider selling at Twitter to continue for another three weeks.